Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0565
Annualized Std Dev 0.2753
Annualized Sharpe (Rf=0%) 0.2051

Row

Daily Return Statistics

Close
Observations 5240.0000
NAs 1.0000
Minimum -0.1362
Quartile 1 -0.0069
Median 0.0011
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0081
Maximum 0.1779
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0173
Skewness 0.3637
Kurtosis 8.0719

Downside Risk

Close
Semi Deviation 0.0122
Gain Deviation 0.0129
Loss Deviation 0.0130
Downside Deviation (MAR=210%) 0.0167
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.8190
Historical VaR (95%) -0.0279
Historical ES (95%) -0.0410
Modified VaR (95%) -0.0235
Modified ES (95%) -0.0235
From Trough To Depth Length To Trough Recovery
2000-07-18 2002-10-09 2017-04-27 -0.8190 4221 559 3662
2020-02-20 2020-03-23 2020-06-08 -0.3047 76 23 53
2018-08-30 2018-12-24 2019-04-05 -0.2426 150 80 70
2020-09-03 2020-09-23 2020-12-04 -0.1343 65 14 51
2019-04-30 2019-06-03 2019-07-12 -0.1291 52 24 28

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 2.4 1 -1.9 0.3 -3.3 -1.1 1.5 -4.4 -5.6
2001 -0.2 3.7 0.1 2 2 2.5 2.5 0.6 -1.7 2.7 -0.3 -2.2 12.2
2002 -1.2 6.2 1 -0.9 -1.1 -4.6 -4.9 -0.9 3.9 2.9 -0.3 -0.5 -0.8
2003 -1 1.1 -0.3 1.4 1 1.2 -0.6 0.6 2 0.5 0.8 -0.5 6.3
2004 0 1.2 0.5 -2.7 -0.6 -2.2 0.7 0.5 3.3 0.6 2.1 -0.1 3.1
2005 0.6 1.2 -0.7 1.2 0.9 0.3 0 -0.5 0.7 0.4 1.5 -0.6 5.2
2006 0.6 2.1 -0.4 -0.8 1.8 -0.6 -1.6 0.2 -0.5 -0.9 -1.2 -0.3 -1.7
2007 -0.1 -0.5 0.1 0.4 0 0.1 1.1 1.3 1.3 -1.3 -1.5 -1.1 -0.3
2008 1 -2.4 3.5 2.9 1 0.3 -0.6 -2.3 -1.3 0.8 -7.2 0.8 -4
2009 -3.1 -0.1 2.2 0.6 3.4 0.7 -0.2 -2.1 -3 -2.5 1.4 -1 -3.8
2010 1.6 1.3 0.1 -2.3 -1.1 -0.4 -0.4 2.6 -0.1 0.3 2.2 -0.2 3.5
2011 1.8 -1.8 -0.3 0.3 -2.3 1.6 -0.2 -1.2 -2.8 -2.9 0.5 -0.2 -7.5
2012 1.1 0.7 -0.3 0.3 -2.8 3.2 -0.4 0.7 -0.4 1.8 -0.4 2.1 5.5
2013 0.9 0.1 -1.1 -0.8 -0.8 0.7 1.1 -0.7 1.1 0 0.5 0.8 1.7
2014 0.5 -0.2 1.4 -0.2 -0.1 1 -0.5 0.6 -1.7 1.7 -1.3 -1.1 0
2015 -1.6 -0.5 -0.5 1.5 0.3 0.4 -0.4 -3.3 0 -0.7 1.1 -1.4 -5.2
2016 0.2 3.1 0.7 -0.9 -0.2 0 0.5 0.4 0.5 -0.8 -2.5 -0.9 0
2017 1 1.4 0 1 0.3 -0.1 0.4 0 0.8 -0.1 -0.5 -0.6 3.6
2018 0 -1.6 2.2 1.3 1.9 -0.1 1 0.2 0.1 1.1 0.9 0.7 7.9
2019 0.3 0.7 1.4 -0.4 -1.8 1.6 -0.6 -0.1 -1 1.3 -0.5 0.2 1.1
2020 -2.5 1.3 -4.6 -2.9 0.4 0.4 2.3 2.3 1.4 -2.2 1 0 -3.4
2021 2.7 3.3 0.5 NA NA NA NA NA NA NA NA NA 6.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-19  27.4 SPY    141. -0.0187  -0.0118  -0.014    0.043    0.0584       NA       NA <NA>     NA    NA       NA
2 2000-05-22  26.5 SPY    140. -0.0075  -0.0359  -0.0261   0.0377   0.0682       NA       NA <NA>     NA    NA       NA
3 2000-05-23  27.1 SPY    138  -0.0147  -0.0584  -0.0299   0.0105   0.0698       NA       NA <NA>     NA    NA       NA
4 2000-05-24  26.8 SPY    140.  0.0163  -0.0338  -0.0534   0.0481   0.0752       NA       NA <NA>     NA    NA       NA
5 2000-05-25  26.4 SPY    138. -0.0172  -0.0415  -0.059    0.0339   0.0722       NA       NA <NA>     NA    NA       NA
6 2000-05-26  26.4 SPY    138   0.0011  -0.0221  -0.0548   0.0138   0.0599       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart